Summary

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This dashboard, designed with the following settings, comprises two sections: ‘Summary’ and ‘Risk Decomposition.’ The ‘Summary’ section, which you’re currently viewing, provides the portfolio’s profit/loss distribution within the given context. In contrast, the ‘Risk Decomposition’ section offers in-depth risk insights for the top 10 portfolio positions based on market value and risk, along with portfolio diversification details. Use the ‘Navigate’ dropdown menu atop the page to switch between sections. Should you have any inquiries or feedback about the dashboard, please feel free to reach out to us at .

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Date

September 18 2023

Risk Measure

Expected Shortfall

Base Currency

DKK

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Horizon (in days)

1

Significance Level

97.5%

Volatility Assumption

point_in_time

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The portfolio’s uncertainty is best encapsulated by its profit/loss (P&L) distribution. The displayed P&L distribution is derived from simulating each individual position’s P&L and aggregating them into potential future portfolio P&L scenarios. Each position’s P&L distribution relies on EnvisionRisk’s Economic Scenario Generator, which forecasts future market conditions per position. This generator employs advanced statistical methods utilizing extreme value distributions and copulas to more accurately capture financial instruments’ unique characteristics. It’s based on a Monte Carlo simulation approach, comprising 10,000 scenarios per position, acknowledging volatility clustering, skewed return distributions, and fat-tails. Such techniques excel at adapting to the stylized characteristics of financial returns.

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Portfolio Profit/Loss distribution

Risk Decomposition

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The table below presents the market value, risk, and diversification impacts for the portfolio’s top 10 positions, gauged by market value and risk, with all absolute figures displayed in the base currency. The ‘regular’ or ‘unconditional’ risk column reveals each position’s marginal risk, while the ‘component’ or ‘conditional’ column demonstrates how each position contributes to the portfolio’s overall risk. The diversification effect for a position is interpreted by the difference between the regular and component risk measures. The regular risk is always negative, while the component risk can be positive for individual positions. It’s crucial to note that interpreting the component risk measure for positions with smaller weights can be challenging. For such positions, the component risk measure tends to represent noise more than signal.

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Positions, Market Value, Risk & Diversification

position
notational
market value
risk
diversification
uid symbol name # DKK % DKK regular component DKK %
2f65331ed8b551a68e6ea7848ea2692f CashSGD CashSGD 1.770.000 9.051.307 27% 9.051.307 -75.627 -60.136 -15.491 20%
979490d89e7b477c633bc6ff440cb6a3 SPY.US SPDR S&P 500 ETF Trust 1.190 3.680.823 11% 3.680.823 -96.920 -57.115 -39.805 41%
5df711eb6919e49f8e1f172c4c2ebc26 CashBRL CashBRL 1.770.000 2.541.703 8% 2.541.703 -70.366 -37.173 -33.193 47%
955f4bceadeb4fce5786c7fc4089b598 AUDSGD AUDSGD 842.000 3.780.724 11% 3.780.724 -56.066 -35.979 -20.087 36%
9f3c2773260db238a132d41ea144630b TRYZAR TRYZAR 7.000.000 1.808.151 5% 1.808.151 -38.956 -22.236 -16.720 43%
436718cc11199342eed242c43aacb694 TLT.US iShares 20+ Year Treasury Bond ETF 2.150 1.401.460 4% 1.401.460 -36.987 -13.068 -23.919 65%
edf74e008029c9289ebb80aba05d15a0 CashILS CashILS 760.000 1.387.347 4% 1.387.347 -21.728 -12.764 -8.964 41%
8b27ad5c766f14293f479bdbfe8d4242 DANSKE.CO Danske Bank A/S 9.280 1.456.032 4% 1.456.032 -47.212 -9.442 -37.771 80%
1daa7797ae4584fc7b8d490be530435a CashUSD CashUSD 156.000 1.087.681 3% 1.087.681 -12.385 -9.142 -3.244 26%
c09b8160e87e9b37445ce2146c3c6754 CashUSD CashUSD 156.000 1.087.681 3% 1.087.681 -12.385 -9.142 -3.244 26%
other 5.679.978 17% -1.656.922 -33.013 3.641 -36.654 111%
all 32.962.888 100% 25.625.987 -501.646 -262.556 -239.090 48%

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The table on the left below illustrates the notional exposure and component-risk by currency. The area for each currency represents its notional exposure (as a percentage), while the color displays its associated risk level. The figure to the right highlights the top 10 riskiest positions, along with their respective risk diversification aspects. This dual-presentation provides an overview of exposure and risk, enabling informed decision-making.

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Portfolio Currency Denominated Risk

Diversification Effects (top 10)